Tree-based feature_importances_ (MDI) answers what the forest split on, not what a…

MQL5 Algo Trading, @mql5dev

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Tree-based feature_importances_ (MDI) answers what the forest split on, not what a feature is worth. As features multiply, correlated indicators become interchangeable, and their “credit” gets diluted across copies, letting weak or even useless columns outrank a real signal with no warning. Permutation importance (MDA) is out-of-sample but can fail harder: if a signal has duplicates, permuting one column leaves substitutes intact, so the measured impact can collapse toward zero. The robust fix is clustered MDA: group dependent features using an unsupervised clustering step on a denoised correlation matrix (Marčenko–Pastur + effective sample size), then permute entire clusters. This recovers the true signal in a synthetic triple-barrier setup and produces a clean separation between informative and noise blocks. Clustered MDI can invert rankings when ... 👉 Read | Quotes | @mql5dev

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